The $z$ component of the latitudinal line remains constant at $R\cos\phi$ where $\phi$ is the angle of the line from the $z$-axis. At this point, the $(x,y)$ coordinates form a circle with radius $z$ in the $x,y$-plane, so we have the curve $y = \pm\sqrt{R^2\cos^2\phi - x^2}$.
In sum, each latitudinal line is described as $$ (x,y,z) = \left(x,\pm\sqrt{R^2\cos^2\phi-x^2}, R\cos\phi\right) $$ where $x\in[-R\cos\phi,R\cos\phi]$ and $\phi$ tells you which latitudinal line you care about.